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Re: st: whitetst
> I made for my data a "hettest" and a "whitetst" to control for
> heteroskedasticity. While the hettest affirm heteroskedasticity (Prob >
> chi2 = 0.0185) the whitetst assigns a p-Value of .6381. What does
> this mean? Is my sample heteroskedastic or homoskedastic? What's the
> null hypothesis of whitetst? If the null hypothesis is homoskedasticity
> there is a contradiction in the two test results, isn't it? What's the
> explanation for this?
> Thank you for your help!
hettest uses a version of the test that assumes normality; whitetst relaxes
this assumption. The null of the two tests is the same (homoskedastic
errors). A number of texts note the sensitivity of the former test to the
normality assumption and hence recommend the latter.
I'm assuming that the indicator variables hypothesised as related to the
heteroskedasticity were the same in the two tests you did. (If you're not
sure what I mean by this, have a look at -help ivhettest-, which does these
tests for OLS regressions plus others for IV regressions.)
Hope this helps.
Prof. Mark Schaffer
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
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